How I can solve the following Quadratic Programming Problem:
Min[X’VX+X’GX]
In this case, X is a list of coefficient to be solved for, V is a square matrix of Price returns, and G is a square matrix of Income returns.
Also, in this case, both V and G should normally be uncorrelated, but in cases where they are correlated, is there a straight forward way to make them orthogonal?